Publication Type

Journal Article

Publication Date

5-2002

Abstract

In this paper, we construct and analyze a prototypical model of microscopic chaos. In particular, we extend the results of Beck and Shimizu to the case where the microscopic time scale r is no longer small. The upshot is that a non-Ornstein-Uhlenbeck deterministic process can generate a Gaussian diffusion process.

Keywords

Chaos, Gaussian diffusion process, Brownian motion, Non-Ornstein-Uhlenbeck process, Equipartition theorem, Einstein's diffusion, Green-Kubo relation

Discipline

Management Sciences and Quantitative Methods | Physical Sciences and Mathematics

Research Areas

Quantitative Finance

Publication

Physica A: Statistical Mechanics and its Applications

Volume

307

Issue

3-4

First Page

275

Last Page

296

ISSN

0378-4371

Identifier

10.1016/S0378-4371(01)00613-6

Publisher

Elsevier

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/S0378-4371(01)00613-6

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